Yes, the Bernard Herrmann incident, which Welles related, refers to his Radio production of Hamlet. And you will hear some rather bizarre music cues.
I find no record of a February 28, 1937 Columbia Workshop production of Macbeth. It is one of the very few gaps in the old Radio Yesteryear logs that I have. These were half hour shows, and so the production, like the Hamlet, would either have been a special or spread over two or three weeks. That is not to say it does not exist somewhere.
If it is germane to Welles' in Shakespeare on Radio, you might note Welles' appearance, with Tallulah Bankhead and Cedrick Hardwicke, in the August 27, 1937, Columbia Summer Shakespeare Festival production of Twelfth Night. Not directed by Welles, however. That was an hour production, and it exists.
[That series also has a rare appearance by Humphrey Bogart in Shakespeare!]
Hope this was Helpful.